I just installed zenphoto with Wordpress yesterday. I found the following post helpful:
WP Theme Integration
Follow the instructions closely. Also, to elaborate on Step 3 since you may need more detail:
First, it mentions using 'get_header()' and 'get_sidebar()'. I just used the get_header() because the sidebar uses too much room, in my opinion.
So, in the 'theme/default' directory you need to modify album.php, image.php, and index.php. You should add the following lines:
1) Just below the "<body> tag:
<?php get_header(); ?>
2) In the <head> section just under the <link> for the stylesheet, add the following:
<link rel="stylesheet" href="<?php bloginfo('stylesheet_url'); ?>" type="text/css" media="screen" />
Finally, don' forget to modify the image.php file as described in step 4.
This seems to get most things working. Some of the WP styles conflict slightly, but not very much. Also, since the admin page isn't themed, it won't follow the WP theme. This isn't such a big deal, since users wouldn't see it anyway.